Small Cap Correlations

ANOYX Fund

USD 24.43 0.02 0.08%

The correlation of Small Cap is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Small Cap Correlation With Market

Weak diversification

The correlation between Small Cap Growth and DJI is 0.38 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Growth and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Small Cap Growth. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in manufacturing.

Moving together with Small Mutual Fund

0.7	AMEIX	Equity Growth	Pair Corr
0.81	AMGIX	Income Growth	Pair Corr
0.64	TWCCX	Ultra Fund C	Pair Corr
0.66	TWCAX	Select Fund A	Pair Corr
0.68	TWCIX	Select Fund Investor	Pair Corr
0.64	TWCGX	Growth Fund Investor	Pair Corr
0.86	TWBIX	Balanced Fund Investor	Pair Corr
0.69	TWCUX	Ultra Fund Investor	Pair Corr
0.65	TWGIX	Growth Fund I	Pair Corr
0.68	TWSIX	Select Fund I	Pair Corr
0.68	TWUAX	Ultra Fund A	Pair Corr
0.69	TWUIX	Ultra Fund I	Pair Corr
0.7	NPHIX	High Income Fund	Pair Corr

Related Correlations Analysis

	TRBCX	BGGKX	HSUAX	TFAGX	MSSGX	ANORX
TRBCX		0.93	0.94	0.89	0.83	0.47	TRBCX
BGGKX	0.93		0.95	0.88	0.92	0.63	BGGKX
HSUAX	0.94	0.95		0.9	0.86	0.58	HSUAX
TFAGX	0.89	0.88	0.9		0.72	0.7	TFAGX
MSSGX	0.83	0.92	0.86	0.72		0.59	MSSGX
ANORX	0.47	0.63	0.58	0.7	0.59		ANORX
	TRBCX	BGGKX	HSUAX	TFAGX	MSSGX	ANORX

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Risk-Adjusted Indicators

There is a big difference between Small Mutual Fund performing well and Small Cap Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Small Cap's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TRBCX	0.91	0.10	0.02	(2.85)	1.12	(0.96)	1.78	(2.18)	5.70
BGGKX	1.23	0.27	0.11	7.04	1.46	(1.31)	2.58	(2.19)	9.55
HSUAX	0.72	0.15	0.07	33.27	0.93	(0.77)	1.31	(1.23)	6.61
TFAGX	0.73	0.06	(0.01)	2.82	1.05	(0.76)	1.61	(1.60)	5.84
MSSGX	1.59	0.40	0.20	0.81	1.49	(2.02)	3.81	(2.32)	11.74
ANORX	0.86	0.06	0.02	0.18	1.10	(0.87)	1.85	(1.48)	7.94

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Small Cap Correlations

Small Cap Correlation With Market

Weak diversification

Moving together with Small Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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